Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0280
Annualized Std Dev 0.2552
Annualized Sharpe (Rf=0%) 0.1099

Row

Daily Return Statistics

Close
Observations 3361.0000
NAs 1.0000
Minimum -0.1157
Quartile 1 -0.0069
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0078
Maximum 0.1399
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0161
Skewness -0.1329
Kurtosis 7.7377

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0114
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.7120
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0392
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0398
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2013-10-17 -0.7120 1474 312 1162
2018-06-07 2020-03-23 2021-01-06 -0.4896 651 451 200
2015-05-21 2016-02-11 2017-04-24 -0.2823 485 184 301
2014-03-07 2014-10-16 2015-04-15 -0.1578 279 156 123
2018-01-29 2018-02-09 2018-04-17 -0.0907 55 10 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0.8 0.4 1.2
2008 2.1 -2.3 3.5 -0.9 0.5 -0.7 -0.4 0.1 -1 0.6 -6.2 4.1 -1
2009 -4 -0.8 2.8 2.5 2.1 3.4 0.7 -3.8 -3.5 -3.1 2.5 -1.2 -2.9
2010 2.6 2.6 2 -1.5 -2.5 0.1 0.4 3.6 1.1 0 2.2 0.4 11.3
2011 2.4 -1.7 0.7 -0.4 -2.4 1.4 -1.5 -2.6 -3.9 -3.7 -1.6 0.5 -12.3
2012 1.5 0.7 0.8 0.2 -2.3 4.4 -0.6 1.2 1 1.3 0.1 1.3 9.9
2013 1 0.3 -1.2 -0.8 -1.6 0.9 1 -1.3 0.7 0 -0.6 0.3 -1.4
2014 -0.9 0.8 0.5 0.2 -0.1 0.5 -0.5 0.2 -1.2 2.1 -0.4 -0.5 0.5
2015 -0.2 0.3 -0.1 0.6 -0.4 0.7 0.7 -2.4 -0.1 0.1 0.6 -0.9 -1.3
2016 -0.5 2.4 -0.4 -0.1 -0.1 1.1 -0.7 0.7 0.9 -1 -0.5 -0.7 1
2017 0.9 1.6 0 0.1 1.9 0.5 0.3 0.7 -0.4 0.5 -0.4 0.5 6.3
2018 0.1 -0.9 1.4 -0.3 1.2 0.2 -0.3 -0.1 0.2 1 -0.3 -0.1 2.1
2019 0.1 1 2 -1.2 0.1 1 -1.8 0.9 -1.5 2 -1 0.4 2
2020 -2.5 -0.8 -3.8 -3.3 1.4 -0.2 -1.6 1.3 0.6 -0.5 2.8 -0.3 -6.9
2021 1.9 2.2 -0.4 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart